Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0530
Annualized Std Dev 0.2509
Annualized Sharpe (Rf=0%) -0.2114

Row

Daily Return Statistics

Close
Observations 3541.0000
NAs 1.0000
Minimum -0.1489
Quartile 1 -0.0056
Median 0.0010
Arithmetic Mean -0.0001
Geometric Mean -0.0002
Quartile 3 0.0063
Maximum 0.1718
SE Mean 0.0003
LCL Mean (0.95) -0.0006
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0158
Skewness -0.7094
Kurtosis 19.4735

Downside Risk

Close
Semi Deviation 0.0118
Gain Deviation 0.0113
Loss Deviation 0.0141
Downside Deviation (MAR=210%) 0.0162
Downside Deviation (Rf=0%) 0.0119
Downside Deviation (0%) 0.0119
Maximum Drawdown 0.7612
Historical VaR (95%) -0.0212
Historical ES (95%) -0.0402
Modified VaR (95%) -0.0229
Modified ES (95%) -0.0281
From Trough To Depth Length To Trough Recovery
2007-05-16 2020-03-23 NA -0.7612 3486 3235 NA
2007-04-18 2007-04-24 2007-04-27 -0.0069 8 5 3
2007-05-04 2007-05-04 2007-05-07 -0.0034 2 1 1
2007-05-11 2007-05-14 2007-05-15 -0.0029 3 2 1
2007-04-30 2007-04-30 2007-05-02 -0.0020 3 1 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA 0 0 0.1 0.5 0.8 -1.6 -0.1 2.2 -1.3 2 -0.7 1.8
2008 0.2 -1.2 2.2 0.5 1.1 0 -0.2 0.5 1.2 2.3 -7.7 5.5 3.8
2009 -0.8 -3.9 2.4 1.3 4.6 1.4 1.7 -1.5 -0.4 -4.5 -0.4 0.1 -0.4
2010 3 -0.4 0.9 -1.3 -1 -1.3 2.2 1.9 0.5 -0.1 1.1 -0.1 5.7
2011 1.2 -0.2 0 0 -0.6 0.9 1.2 -0.9 -2.8 -2.9 0 1.2 -2.9
2012 1.2 1.3 0.6 0.4 -1.6 2.5 0.2 0.6 -0.1 1.2 0 1.3 7.8
2013 0.6 0.2 -0.4 -0.9 -1.3 1.2 1.5 -0.3 1.5 -0.5 0.2 -0.4 1.2
2014 -0.5 -0.2 0.5 0 0.3 0.7 -0.6 0.1 -0.6 0.9 -1.4 -0.8 -1.7
2015 -1.5 0.5 -0.3 0.4 -0.1 1 0 -2 1.9 0.1 0.7 0.5 1.2
2016 1 2.5 -0.1 -0.2 0.3 0.5 -0.3 0.6 0.3 -1.2 -0.6 0.1 2.8
2017 0.6 0.9 -0.1 0.6 0.3 1.1 0.6 0.9 0.6 0.3 0.1 -0.2 5.9
2018 -0.6 -1.3 1.8 0 0.9 0.6 -0.2 0.3 0.3 2.4 0.9 -0.3 4.8
2019 -0.3 0.3 0 0.5 -1.3 0.1 -0.7 1.2 -0.7 0.6 -0.2 1.6 1.1
2020 -1.1 -3.5 -7.4 -1.9 0.1 0.4 0.1 0.9 0.7 -1.7 0.6 0.2 -12.1
2021 0.7 1.8 0.9 NA NA NA NA NA NA NA NA NA 3.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-02-23  20   SPY    145. -0.0039  -0.0034   0.0094   0.0342   0.124     0.268    0.342 GLD    67.7  0.0085   0.0197
2 2007-02-26  20.0 SPY    145. -0.0009  -0.0038   0.0205   0.0322   0.125     0.269    0.324 GLD    68.1  0.0056   0.0262
3 2007-02-27  20   SPY    140. -0.0391  -0.0448  -0.0187  -0.0101   0.078     0.214    0.252 GLD    65.4 -0.0395   0.0015
4 2007-02-28  20.0 SPY    141.  0.0103  -0.0346  -0.0079   0.0041   0.0886    0.226    0.267 GLD    66.5  0.0164  -0.0119
5 2007-03-01  20   SPY    141. -0.003   -0.0367  -0.016    0.0151   0.0958    0.222    0.258 GLD    65.8 -0.0099  -0.0198
6 2007-03-02  20   SPY    139. -0.0131  -0.0456  -0.0353  -0.0025   0.0719    0.194    0.248 GLD    63.7 -0.0321  -0.0592
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart